High Quality Content by WIKIPEDIA articles! Monte Carlo methods are used in finance and mathematical finance to value and analyze (complex) instruments, portfolios and investments by simulating the various sources of uncertainty affecting their value, and then determining their average value over the range of resultant outcomes. The advantage of Monte Carlo methods over other techniques increases as the dimensions (sources of uncertainty) of the problem increase. Monte Carlo methods were first introduced to finance in 1964 by David B. Hertz in "Risk Analysis in Capital Investment" (Harvard Business Review), discussing their application in Corporate Finance. In 1977, Phelim Boyle pioneered the use of simulation in derivative valuation in his seminal paper "Options: A Monte Carlo Approach" (Journal of Financial Economics).

Данное издание не является оригинальным. Книга печатается по технологии принт-он-деманд после получения заказа.